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研究生:郭奇鑫
研究生(外文):Chi-hsin Kuo
論文名稱:金融市場共移性研究以台、美、日、香、韓股市為例
論文名稱(外文):Stock Market Co-movements;the Case of Taiwan, United States, Japan, Hong Kong, and Korea
指導教授:黃金生黃金生引用關係
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:52
中文關鍵詞:單根檢定向量自我迴歸因果關係檢定
外文關鍵詞:Causality testUnit root testVAR
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股票是所有金融商品中最受投資人傾睞的標的之一。臺灣自1962年股市成立以來,市場參與者以及上市公司越來越多,股票市場的規模不斷地擴大,交易也日趨頻繁。從1980年代起,金融國際化與自由化趨勢下,世界各國逐漸鬆綁金融管制,大型的跨國企業成立,關稅障礙逐漸消除,與國際投資管道的暢通,使全球金融關連性倍增,造成各國的資本市場因國際資金流動而產生相互間之連動影響。
本研究即利用GARCH及VAR來檢定,臺灣加權股價指數、美國道瓊工業指數、日本日經指數、香港恆生指數與韓國綜合指數之間的前後期是否會互相影響及其間之因果關係;並且對彼此互動程度之變化,進行全面性與整體性的研究與觀察。
實證結果美國股市對其他四國存在著單向因果關係;各國股市報酬率間互動關係程度很高,其中以香港股價日報酬率與韓國股價日報酬率的相關程度最高,美國股價日報酬率與日本股價日報酬率的相關程度最低。美國股市與臺灣股市是屬於資訊傳導較具效率性的市場,而香港股市則屬資訊傳導效率性較差的市場。
Stock is one of the popular investment instrument among financial goods. Since first launched in 1962, Taiwan stock exchange has been rapidly growing in terms of market participants, listing companies, and trading volume. Meanwhile, there is a trend of internationalization and liberalization of financial markets starting in 1980s. Not only have the capital flow barriers been lifted up gradually, but also the integration of international financial markets has been strengthened. Co-movements of financial markets emerge as one of familiar phenomena in the new international financial realm.
This research employs GARCH and VAR to investigate the market co-movements among Taiwan Capitalization Weighted Stock Index (Taiwan), Dow Jones Industry Average Index (USA), Hang Seng Index (HK), Nikkei Index (Japan), and Koran Composite Index (South Korean). Specification, this study empirically tests the long-term co integration and causality among these five stock markets.
The empirical results indicate: (1) US stock market displays one-way causality to other four markets, but not the reverse.One lag impact exhibits among all sample markets, except Japan stock market to US stock market. (2) The coefficients of correlation of market returns in general appear high among markets. In particular, the HK market vs. Korean market shows the highest correlation among sample markets and the US vs. Japan is the lowest. (3) The US market and Taiwan market possess high efficient information transmission; however, the the HK market has less efficiency in information transmission.
中文摘要 I
英文摘要 II
誌 謝 III
目 錄 IV
表索引 V
圖索引 VI
第一章 緒論 1
1.1、研究背景及動機 1
1.2、研究目的 2
1.3、章節架構與研究流程 3
第二章 文獻回顧與探討 5
2.1、國外文獻部分 5
2.2、國內文獻部分 9
第三章 研究方法 14
3.1、相關矩陣 14
3.2、單根檢定(Unit Root Test) 15
3.3、ARCH檢定 16
3.4、一般化自我廻歸異質條件變異數模型(GARCH) 17
3.5、落後期檢定(AIC檢定) 18
3.6、向量自我迴規模型 19
3.7、因果關係檢定法(Granger Causality Test) 20
3.8、衝擊反應分析 21
第四章 實證結果 23
4.1、資料來源與選取 23
4.2、相關矩陣 28
4.3、單根檢定 29
4.4、ARCH檢定 30
4.5、一般化自我廻歸異質條件變異數模型GARCH(1,1)模型 31
4.6、VAR向量自我迴規模型 32
4.7、因果關係檢定 34
4.8、衝擊反應分析 38
第五章 結論與建議 41
5.1、結論 41
5.2、研究貢獻與建議 42
參考文獻 43
英文文獻
1. Akaike, H., 1973,“Information Theory and an Extension of the Maximum Likelihood Principle”, in B. P., and F. C. eds., Second International Symposium on Information Theory, Budapest : Akademiai Kiado,
2. Cassuto,Alexander E, 1995,“Non-normal Error Patterns:How to Handle Them, ”Journal of Business Forecasting Method & System,Vol.14,pp.15-16
3. Chowdhury, A. R. 1994 . “Stock market interdepencies:Evidence from the Asian NIEs. ”Journal of macroeconomics, 16(4), 629-651.
4. Dickey, D. A. and W. A. Fuller,(1979). “ Distribution of the Estimators for Autoregressive Time Series with a Unit Root. ” Journal of The American Statistical Association, No. 74, pp 427 ~ 437.
5. Dunis, C.L. and Shannon, G, 2005 “Emerging markets of South-East and Central Asia:Do they still offer a diversification benefit? ”Jonrnal of Asset Management, Vol.6(3),pp.168-90
6. Engel, R. F. & C. W. Granger, 1987 . ” Co-integration and Error Correction ”: Re-Presentation, Estimation and Testing . Econometrica , No.55, pp 251 ~276.
7. Eun, C. and S. Shim., ,1989 ,“International Transmission of Stock Market Movements”,Journal of Financial and Quantitative Analysis 24, pp241-256.
8. Fama, E. F., 1970,“Efficiency Capital Markets: A Review of Theory and Emperical Work, “Journal of Finance, 25, pp.383-417.
9. Ghosh, A., R. Saidi and K.H.Johnson, 1999 , “Who Moves The Asia-Pacific Stock Market-US or Japan? Empirical Evidence Based on The Theory of Cointegration,”The Financial Review, 34, 159-170.
10. Granger, C., 1969 . “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. “ Econometrica, No.37, pp 424 ~ 438.
11. Hsieh, D. A., 1984, “Test of Rational Expectations and No Risk Premium in Forward Exchange Markets, “Journal of International Economics, 17, pp,173-184.
12. Huang, B.N., C.W. Yang, and W.S. Hu, 2000 “Causality and Cointegration of Stock Market among the United States, Japan, and the Sourth China Growth Triangle,”International Review of financial Analysis Vol.9,pp.281-297.
13. Kempa, B. and M. Nelles, 2001 , “International Correlations and Excess Returns in European Stock Markets: does EMU matter?” Applied Financial Economics 11,69-73.
14. Knif, J.,and S. Pynnonen, 1999“Local and giobal price mmemory of international stock markets.”Journal of International Financial Markets, Institutions, and Money,9,129-147.
15. Levich, R. M., 1979,“On The Efficiency of Markets for Foreign Exchange” in:R. Dornbusch and J. A. Frenkel, eds., International Economic Policy:Theory and Evidence, Ch. 7, John Hopdins University Press.
16. Lin, Y. A., Pan, M. S. & Fung, H. G. 1996,“ International Transmission of Stock Prices Movement”Evident from the U.S. and Six Asian Stock Pacific Basin Markets. Journal of Multinational Management, (6), 81-94.
17. Liu, Y.A., M.S. Pan. And J.C.P. Shieh, 1998“International Transmission of Stock Price Movement:Evidence from the U.S. and Five Asian-Pacific Markets ”Journal of Economics and Finance, Vol.22,1998,pp.59-69.
18. Masih, R. and A.M.M. Masih, 2001,“Long amd Short Term Dynamic Causal Transmission amoung International Stock Markets, ”Journal of International Money and Finance,20,pp.563-587.
19. McNess,S.S., 1979,“The Forecasting Record for the 1970’s”,New England Economic Review.
20. Miyakoshi Tatsuyoshi. 2001,“Notes on volatility spillover effectsfrom Japan and the US to the Pacific-Basin”Speech in National Normal University, Taiwan.
21. Tay, N. S. P. and Z. Zhu, 2000,“Correlation in Returns and Volatilities in Pacific-Rim Stock Markets” Open Economies Review 11(1), 27-47.
中文文獻
1. 古永嘉、楊育軒、李昱翰,2003,臺灣與亞太股市資訊傳遞效果之研究-三元EGARCH模型之應用,第三屆提升競爭力與經營管理研討會發表論文。
2. 徐清俊 吳明�琚A2003,美國、日本與臺灣股票市場動態關係,遠東學報第二十卷第二期
3. 田峻吉,2001,美國、日本、香港股市對臺灣電子股指數的影響-GARCH模型之運用,國立臺灣大學,碩士論文。
4. 林秀璘,1998,亞洲金融危機期間國際股市互動關係之比較研究,國立臺灣大學,碩士論文。
5. 林秋靜,2003兩岸股市互動之研究-門檻模型,私立義守大學,碩士論文。
6. 段光齡,1999,股票市場價格發現過程實證探討,私立逢甲大學,碩士論文。
7. 陳君達,1999,價格變動與國際股市波動相關性之研究,私立淡江大學,碩士論文。
8. 黃瓊葦,2001,亞太各國股市關聯性與波動性探討,國立臺北大學,碩士論文。
9. 翁瑞宏,1997,東亞地區股市關連性之實證研究,國立中興大學,碩士論文。
10. 楊踐為、賴怡洵,1998,美日香港與臺灣四地股價指數連動關係之研究,臺灣土地金融季刊,第35卷,第2期,頁1-15。
11. 鄭瑞彬,1997,臺灣與亞洲股市股票報酬之分析-GARCH模型之運用,私立逢甲大學,碩士論文。
12. 廖珮真,1993,美、日、港、新、臺五國股市報酬率多元時間序列關聯性之研究,國立臺灣大學商學研究所,碩士論文。
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